Gain-loss based convex risk limits in discrete-time trading.
Mustafa Ç. PinarPublished in: Comput. Manag. Sci. (2011)
Keyphrases
- empirical risk
- hinge loss
- risk minimization
- loss probability
- electronic commerce
- loss function
- expected loss
- markov chain
- convex optimization
- risk assessment
- decision making
- high risk
- markov processes
- finite state
- convex hull
- risk factors
- financial markets
- market data
- minimum risk
- portfolio management
- risk management
- learning algorithm
- reinforcement learning
- risk measures
- early warning
- risk analysis
- convex functions
- electricity markets